http://answers.yahoo.com/question/index?qid=20100227193724AAP9Q3W
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In a vacuum, heat can only be transferred 1 way, directly, as electromagnetic radiation. That is, it gets from the sun to us as a form of light- in the infra red spectrum actually.
In an atmosphere, there is another way for heat to get around: hot objects heat up the air around them, the heated air transfers heat outwards and heats up anything else in the area.
But that atmospheric effect is unknown in space. If you have an object in space that is exposed to direct sunlight, it will get really, really hot. Both because it is being bombarded with sunlight, and also because there is no air around it to carry heat away.
But an object in shade, even if its only a few feet away, can get extremely cold: Because it's being hit with NO radiation, which in space is the only source of heat, and there is no air to carry heat to it the other way.
So it's really not accurate to say that "space is cold." Space is just.. space... it has no temperature. Whether an object in space is very cold, or very hot, simply depends on whether the sun is shining on it.